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自回归分布滞后框架中的分位数协整AI 解读

Xiao (2009) develops a novel estimation technique for quantile cointegrated time series by extending Phillips and Hansen’s (1990) semiparametric approach and Saikkonen’s (1991) parametrically augmented approach. This paper extends Pesaran and Shin’s (1998) autoregressive distributed-lag approach into quantile regression by jointly analyzing short-run dynamics and long-run cointegrating relationships across a range of quantiles. We derive the asymptotic theory and provide a…

理解面板单位根检验局部渐近功效的新工具AI 解读

Motivated by the previously documented discrepancy between actual and predicted power, the present paper provides new tools for analyzing the local asymptotic power of panel unit root tests. These tools are appropriate in general when considering panel data with a dominant autoregressive root of the form ρi=1+ciN−κT−τ, where i=1,…,N indexes the cross-sectional units, T is the number of time periods and ci is a random local-to-unity parameter. A limit theory for the sample…

环境库兹涅茨曲线、协整与非线性AI 解读

Summary This paper clarifies some conceptual shortcomings of the empirical environmental Kuznets curve (EKC) literature that arise because of the hitherto inadequate application of unit root and cointegration techniques. The literature to date has ignored the fact, and a fortiori the consequences, that powers of integrated processes are themselves not integrated processes. The paper explains why standard methods should not be applied and discusses some recently proposed…

异方差ARFIMA模型的分数单整自助得分检验及商品价格应用AI 解读

Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the efficient market hypothesis, stating that spot and futures prices of a commodity should co-integrate with a unit slope on futures prices, does not hold. However, these statistical methods are known to be unreliable if the data are fractionally integrated. Moreover, spot and futures price data tend to display clear patterns of time-varying volatility which also has the…

重新审视面板单位根检验的单变量方法：用协变量解决附带趋势问题AI 解读

In an influential article, Hansen showed that covariate augmentation can lead to substantial power gains when compared to univariate tests. In this article, we ask if this result extends also to the panel data context? The answer turns out to be yes, which is maybe not that surprising. What is surprising, however, is the extent of the power gain, which is shown to more than outweigh the well-known power loss in the presence of incidental trends. That is, the covariates have…

小型 DSGE 模型的频率学派评估AI 解读

This article proposes a new evaluation approach for the class of small-scale “hybrid” new Keynesian dynamic stochastic general equilibrium (NK-DSGE) models typically used in monetary policy and business cycle analysis. The empirical assessment of the NK-DSGE model is based on a conditional sequence of likelihood-based tests conducted in a vector autoregressive (VAR) system, in which both the low- and high-frequency implications of the model are addressed in a coherent…

整数单整原假设对分数单整备择的检验AI 解读

This paper proposes a test of the null of integer integration against the alternative of fractional integration. The null of integer integration is satisfied if the series is either I(0) or I(1). We reject the null if the KPSS test rejects I(0) and a unit root test rejects I(1). We suggest a new unit root test (a lower-tail KPSS test applied to the differenced data) to use in this procedure. We provide critical values under standard asymptotics and fixed-b asymptotics. We…

基于似然比的结构突变时点置信集AI 解读

We propose the use of likelihood-ratio-based confidence sets for the timing of structural breaks in parameters from time series regression models. The confidence sets are valid for the broad setting of a system of multivariate linear regression equations under fairly general assumptions about the error and regressors, and allowing for multiple breaks in mean and variance parameters. In our asymptotic analysis, we determine the critical values for a likelihood ratio test of a…

经济理论与预测：来自文献的经验AI 解读

Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight into the question by drawing lessons from the literature. The definition of ‘economic theory’ includes a broad range of examples, such as accounting identities, disaggregation and spatial restrictions when forecasting aggregate variables, cointegration and forecasting with dynamic stochastic general equilibrium (DSGE) models. We group the lessons into three themes.…

向量误差修正模型的自动化估计AI 解读

Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially affect the form of the model and its interpretation. In cointegrated system modeling, empirical estimation typically proceeds in a…

渐近一致最强面板单位根检验：备择异质性的影响AI 解读

In a Gaussian, heterogeneous, cross-sectionally independent panel with incidental intercepts, Moon, Perron, and Phillips (2007, Journal of Econometrics 141, 416–459) present an asymptotic power envelope yielding an upper bound to the local asymptotic power of unit root tests. In case of homogeneous alternatives this envelope is known to be sharp, but this paper shows that it is not attainable for heterogeneous alternatives. Using limit experiment theory we derive a sharp…

We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the cointegrated case. We show that in this case with fixed initial values there exists a so-called final moving-average representation. We prove that the specification strategy is consistent. The performance of the proposed method is investigated via a Monte Carlo study and a forecasting exercise for US interest…

基于回归的协整系统分析AI 解读

Two estimation procedures dominate the cointegration literature: Johansen’s maximum likelihood inference on vector autoregressive error correction models and estimation of Phillips’ triangular forms. This latter methodology is essentially semiparametric, focusing on estimating long run parameters by means of cointegrating regressions. However, it is less used in practice than Johansen’s approach, since its implementation requires prior knowledge of features such as the…

分数阶协整秩估计AI 解读

This article considers cointegration rank estimation for a p-dimensional fractional vector error correction model. We propose a new two-step procedure that allows testing for further long-run equilibrium relations with possibly different persistence levels. The first step consists of estimating the parameters of the model under the null hypothesis of the cointegration rank r = 1, 2, …, p − 1. This step provides consistent estimates of the order of fractional cointegration,…

非平稳面板的非参数秩检验AI 解读

We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to numbers of common factors. The tests allow for unrestricted cross-sectional dependence and dynamic heterogeneity among the units of the panel, provided simply that a joint functional…

递归去趋势对面板单位根检验的影响AI 解读

This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is conducted while allowing for a (potentially) non-linear trend function, which represents a more general consideration than the current state of affairs with (at most) a linear trend. A new test statistic is proposed whose asymptotic behavior under the unit root null hypothesis, and the simplifying assumptions of a polynomial trend and iid errors are shown to be…

PANIC面板单位根检验的功效AI 解读

The current paper considers the asymptotic local power of second-generation panel unit root tests that are robust to the presence of cross-section dependence in the form of common factors. As a basis for our analysis, we take the PANIC approach of Bai and Ng (2004, 2010), which is one of the single most popular and general second-generation approaches around.

非参数预测回归AI 解读

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The limit distribution of these predictive tests is nuisance parameter free and holds for a wide range of predictors including stationary as well as non-stationary fractional and near unit root processes. Asymptotic theory and simulations show that…

Haavelmo 的实验方法论与协整向量自回归情景分析AI 解读

The paper provides a careful, analytical account of Trygve Haavelmo’s use of the analogy between controlled experiments common in the natural sciences and econometric techniques. The experimental analogy forms the linchpin of the methodology for passive observation that he develops in his famous monograph, The Probability Approach in Econometrics (1944). Contrary to some recent interpretations of Haavelmo’s method, the experimental analogy does not commit Haavelmo to a…

Haavelmo 的概率方法与协整 VARAI 解读

Some key econometric concepts and problems of great importance to Trygve Haavelmo and Ragnar Frisch are discussed within the general framework of a cointegrated VAR. The focus is on problems typical of time-series data such as multicollinearity, spurious correlation and regression, time dependent residuals, model selection, missing simultaneity, autonomy, and identification. The paper argues that the more recent development of unit root econometrics has been instrumental for…

非平稳时间序列的非线性回归AI 解读

This paper develops asymptotic theory for a nonlinear parametric cointegrating regression model. We establish a general framework for weak consistency that is easy to apply for various nonstationary time series, including partial sums of linear processes and Harris recurrent Markov chains. We provide limit distributions for nonlinear least square estimators, extending the previous works. We also introduce endogeneity to the model by allowing the error to be serially…

Bottazzi and Peri (Economic Journal 2007; 117: 486–511) show the existence of a cointegrating relationship between the domestic stock of knowledge, domestic R&D and the international knowledge stock for a panel of OECD countries and interpret it as evidence supporting the semi-endogenous versus the endogenous growth theory. We replicate the baseline specification of their study and we show that main results are robust to the use of a different estimation strategy (Bai et…

I(2) 环境中平稳协整的残差 ADF 检验AI 解读

We propose a residual-based augmented Dickey–Fuller (ADF) test statistic that allows for detection of stationary cointegration within a system that may contain both I(2) and I(1) observables. The test is also consistent under the alternative of multicointegration, where first differences of the I(2) observables enter the cointegrating relationships. We find the null limiting distribution of this statistic and justify why our proposal improves over related approaches.…

VAR 模型中协整秩的改进似然比检验AI 解读

We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but as usual the asymptotic results do not require normally distributed innovations. Our tests differ from existing tests in two respects. First, instead of basing our tests on the conditional (with respect to the initial observations)…